Ultra-luminous Infrared Galaxies (ULIRGs), defined a sources with L-IR > 10(12)L(circle dot), represent a significant stage in galaxy evolution. ULIRGs are connected to gas-rich major mergers, both locally and at high redshifts. These events can trigger significant and simultaneous star formation and black hole growth episodes, maybe holding the key to understand their connection. Here, I review the main observations of ULIRGs at all wavelengths, with emphasis in mid-IR and hard X-rays, which revealed the presence of heavily-obscured growing supermassive black holes in most of these sources. Future NuSTAR and ASTRO-H observations at hard X-rays and ALMA in the mm/sub-mm will allow to confirm this connection and study these sources in more detail.